Okay we need a lot more information than that. What is the format that you are trying to render it into? What is the version of Windows Media Player that you are using and what do you have set as your animation player in the Blender file preferences.

Windows Media Player doesn't play everything and it doesn't play all of the formats that Blender can produce files in. Earlier versions of WMP tend to player fewer formats than later ones. You could go online and get VLC which plays just about everything under the sun including all of the formats that Blender outputs.

Blender 2.6 also doesn't come with an animation player of its own but Blender 2.49 did. to get it go here http://download.blender.org/release/Blender2.49b/ and unzip the file where you please. In Blender user preferences go to files and at the bottom of the list you will see "Animation Player". Choose Blender 2.4 from the dropdown and point it to the .exe in the file that you just downloaded.